FXForwardYieldCurvePnLFunction.java example

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/**
 * Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.financial.analytics.model.pnl;

import java.util.Map;
import java.util.Set;

import com.google.common.collect.ImmutableSet;
import com.opengamma.engine.ComputationTarget;
import com.opengamma.engine.function.AbstractFunction;
import com.opengamma.engine.function.FunctionCompilationContext;
import com.opengamma.engine.function.FunctionExecutionContext;
import com.opengamma.engine.function.FunctionInputs;
import com.opengamma.engine.target.ComputationTargetType;
import com.opengamma.engine.value.ComputedValue;
import com.opengamma.engine.value.ValueProperties;
import com.opengamma.engine.value.ValuePropertyNames;
import com.opengamma.engine.value.ValueRequirement;
import com.opengamma.engine.value.ValueRequirementNames;
import com.opengamma.engine.value.ValueSpecification;
import com.opengamma.financial.analytics.TenorLabelledLocalDateDoubleTimeSeriesMatrix1D;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.async.AsynchronousExecution;

/**
 * Produces the aggregated P&L series for a curve for an FX Forward.
 */
public class FXForwardYieldCurvePnLFunction extends AbstractFunction.NonCompiledInvoker {

  @Override
  public ComputationTargetType getTargetType() {
    return ComputationTargetType.POSITION;
  }

  @Override
  public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target) {
    return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), ValueProperties.all()));
  }
  
  @Override
  public Set<ValueRequirement> getRequirements(FunctionCompilationContext context, ComputationTarget target, ValueRequirement desiredValue) {
    return ImmutableSet.of(new ValueRequirement(ValueRequirementNames.YIELD_CURVE_PNL_SERIES, target.toSpecification(), desiredValue.getConstraints()));
  }
  
  @Override
  public Set<ValueSpecification> getResults(FunctionCompilationContext context, ComputationTarget target, Map<ValueSpecification, ValueRequirement> inputs) {
    ValueProperties properties = inputs.entrySet().iterator().next().getKey().getProperties().copy()
        .withoutAny(ValuePropertyNames.FUNCTION)
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return ImmutableSet.of(new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), properties));
  }

  @Override
  public Set<ComputedValue> execute(FunctionExecutionContext executionContext, FunctionInputs inputs, ComputationTarget target, Set<ValueRequirement> desiredValues) throws AsynchronousExecution {
    ValueRequirement desiredValue = desiredValues.iterator().next();
    TenorLabelledLocalDateDoubleTimeSeriesMatrix1D nodalPnlSeries = (TenorLabelledLocalDateDoubleTimeSeriesMatrix1D) inputs.getValue(ValueRequirementNames.YIELD_CURVE_PNL_SERIES);
    LocalDateDoubleTimeSeries result = nodalPnlSeries.getValues()[0];
    for (int i = 1; i < nodalPnlSeries.size(); i++) {
      result = result.add(nodalPnlSeries.getValues()[i]);
    }
    ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
    return ImmutableSet.of(new ComputedValue(resultSpec, result));
  }

}